Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1073 |
| Annualized Std Dev | 0.2151 |
| Annualized Sharpe (Rf=0%) | 0.4989 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3874.0000 |
| NAs | 1.0000 |
| Minimum | -0.1244 |
| Quartile 1 | -0.0054 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1040 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0135 |
| Skewness | -0.4429 |
| Kurtosis | 9.0995 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0099 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0109 |
| Downside Deviation (MAR=210%) | 0.0144 |
| Downside Deviation (Rf=0%) | 0.0097 |
| Downside Deviation (0%) | 0.0097 |
| Maximum Drawdown | 0.5780 |
| Historical VaR (95%) | -0.0210 |
| Historical ES (95%) | -0.0332 |
| Modified VaR (95%) | -0.0210 |
| Modified ES (95%) | -0.0413 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-05-14 | -0.5780 | 1408 | 355 | 1053 |
| 2020-02-13 | 2020-03-23 | NA | -0.4430 | 278 | 27 | NA |
| 2018-10-04 | 2018-12-24 | 2019-04-30 | -0.2496 | 142 | 56 | 86 |
| 2015-02-25 | 2016-02-11 | 2016-06-06 | -0.1644 | 323 | 244 | 79 |
| 2006-04-21 | 2006-06-13 | 2006-10-16 | -0.1164 | 124 | 37 | 87 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 | 1.2 | -0.8 | 0.6 |
| 2006 | 1.2 | 0.4 | -0.3 | 0.5 | 1.6 | -0.3 | -0.8 | 0.8 | -0.2 | -1.2 | -0.1 | -0.5 | 0.9 |
| 2007 | 0.7 | 0.1 | -0.2 | 0.7 | 0.1 | 0.1 | 1.5 | 0.5 | 1.2 | -2 | 0 | -0.2 | 2.5 |
| 2008 | 1.3 | -2.5 | 2.7 | 1.7 | 1.1 | 0.1 | -0.7 | -1.3 | -1.5 | 2.5 | -7.3 | 2.7 | -1.6 |
| 2009 | -0.8 | -2.7 | 0.9 | 1.8 | 4.1 | 0.7 | -0.1 | -0.8 | -2.7 | -2.2 | 1.4 | -1.2 | -1.9 |
| 2010 | 1.7 | 1.3 | 0.3 | -2.4 | -2.6 | -1.1 | -0.1 | 3.3 | 0 | -0.1 | 2.4 | 0.1 | 2.8 |
| 2011 | 1.4 | -1.7 | 0.5 | 0.4 | -2.5 | 1.6 | -1.3 | -2.2 | -1.4 | -3.6 | 0.2 | -0.6 | -8.9 |
| 2012 | 1.7 | 0.1 | 0.1 | 0.4 | -2.3 | 3.3 | -0.9 | 0.8 | 0.7 | 1.2 | -0.1 | 1.6 | 6.7 |
| 2013 | 0.8 | -0.3 | -1 | -0.9 | -0.5 | 0.8 | 1.7 | -1.2 | 1.1 | 0.5 | -0.5 | 0.5 | 1 |
| 2014 | 0.6 | 0.3 | 0.8 | -0.3 | 0.2 | 1.1 | 0.2 | 0.2 | -2.1 | 1.2 | -0.8 | -1.1 | 0.1 |
| 2015 | -1.4 | -0.4 | -0.9 | 1.1 | 0.1 | 0.7 | -0.2 | -2.7 | -0.1 | -0.1 | 0.4 | -1 | -4.4 |
| 2016 | -0.2 | 1 | 0.3 | -0.7 | 0.4 | -0.1 | 0.1 | 0.2 | 0.5 | -0.4 | 0.1 | -0.5 | 0.6 |
| 2017 | -0.2 | 1.5 | -0.4 | -0.2 | 0.4 | 0.6 | 0.4 | -0.2 | 0.3 | -0.2 | -1.4 | -0.4 | 0.2 |
| 2018 | 0.7 | -2.1 | 1.5 | -1.6 | 1 | 0.4 | -0.7 | 0.1 | 0.2 | 2.4 | 0.4 | 1.2 | 3.5 |
| 2019 | 0.2 | 0.2 | 1.9 | -0.1 | -0.9 | -0.5 | -1.1 | 0.4 | -2.2 | 1.2 | -0.5 | -0.3 | -1.7 |
| 2020 | -2.1 | -1.6 | -4.4 | -2.7 | 0.8 | -0.5 | -0.4 | 0.3 | 0.3 | 0 | 1 | 0.4 | -8.7 |
| 2021 | 1.2 | 2.9 | -0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
